Nasdaq OMX Nordic has fined ABN Amro after a high-frequency trading (HFT) client placed non-genuine orders on the market causing trading in SEB A shares to be suspended.
The Nordic exchange has fined ABN SEK200,000 (€22,500) for breaching its order placing rules on 28 August 2013.
On that day, SEB A shares opened 24% lower than on the previous day and the exchange cancelled all trades that took place in the opening cross.
Nasdaq OMX’s disciplinary committee said the bank deleted a number of orders for a short time before the market opened, contributing to the sudden drop in price.
The orders were deleted by an algorithm used by a Hong Kong-based HFT client, Algorithmic Trading Group, with sponsored access through ABN Amro.
The disciplinary committee found that the algorithm registered, amended and cancelled orders in a manner that would never make them eligible for execution in the auctions. They were amended as soon as the limit price would equal or cross the equilibrium price of the order book.
As the order was not possible to execute, it did not constitute a genuine order and lacked commercial purpose, both of which breach Nasdaq OMX Nordic’s member rules.